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11-090/4 - Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models


  • Authors
    Geert Mesters, Netherlands Institute for the Study of Crime and Law Enforcement; Siem Jan Koopman, VU University Amsterdam; Marius Ooms, VU University Amsterdam
  • Publication date
    June 27, 2011
  • Keywords
    Fractional Integration, Importance Sampling, Kalman Filter, Latent Factors, Stochastic Volatility
  • JEL
    C33, C43